If you're talking about MSFT, which trades 50M shares ($1.4B) a day, there's almost always 2K shares ($54K) available at the inside market, meaning no slippage for a market order.

If you're talking about B, which trades 234K shares ($11M) a day, most of the trades are a couple hundred shares, as is the inside quote, you have to be more picky about when you place your orders and should definitely use limit orders (though you might miss the market and not get filled).

If you're talking about AMO, which trades <10K shares ($170K) most days, you'll need to work hard and spend a lot of time to get in/out unless you see an obvious counter-party for your trade.

You can use stop limit order. You will get more fill this will. The order only execute when it fall into the stop limit range.

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That doesn't really make sense.

Reality is that, in thinner stocks, it's harder to find a natural counterparty for your trade, particularly if you're going with the trend (breakouts, etc.) instead of against it.

There's no magic bullet. You either have to pay up/sell down or wait. Based on how much you're trying to make, the strength of your feeling that it will move, and your expected stop loss if it doesn't, you have to decide whether it's worth it. X% of making $A versus Y% of losing $B, etc.